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# Risk optimization with p-order conic constraints: A linear programming approach

@article{Krokhmal2010RiskOW, title={Risk optimization with p-order conic constraints: A linear programming approach}, author={Pavlo A. Krokhmal and Policarpio Soberanis}, journal={European Journal of Operational Research}, year={2010}, volume={201}, pages={653-671} }

- Published 2010 in European Journal of Operational Research
DOI:10.1016/j.ejor.2009.03.053

The paper considers solving of linear programming problems with p-order conic constraints that are related to a certain class of stochastic optimization models with risk objective or constraints. The proposed approach is based on construction of polyhedral approximations for p-order cones, and then invoking a Benders decomposition scheme that allows for efficient solving of the approximating problems. The conducted case study of portfolio optimization with p-order conic constraints demonstrates… CONTINUE READING